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Duties: Conduct Quantitative Analytics to independently review and evaluate sources of Model Risk for models used in Anti-Money Laundering space. Work closely with LOB, Risk and Compliance professionals to review findings, on-going model risk measurement and risk mitigating strategies. Effectively support and manage regulatory, audit and compliance engagement across all issues which involve MRGR including coordination of requests/exams, Matter Requiring Attention and Compliance/Audit testing. Use Quantitative approaches in review of tools, documentation, process, and data to assess conceptual and financial soundness of the implementations, as well as compliance with policies and best practices. Present plans, status, and findings to management. Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks. Stay current with emerging requirements, both regulatory and others, and be responsible for evaluating quantitative risk implications of changes. Develop benchmark models using quantitative approaches (not limited to numerical methods and Monte Carlo simulations) that satisfy statistical feasibility criteria. Minimum education required: Master's degree or equivalent in Mathematics, Finance, Physics, Engineering, or related field.
Minimum experience required: 4 years of experience in Quantitative Analytics within Market Risk or Global Markets at a bank or financial institution, or related experience.
Skills Required: Must have regulatory projects experience such as CCAR, Stress Testing. Must have Quantitative Financial Risk Management experience. Must have demonstrated knowledge of numerical methods such as Stochastic Differential Equations, Monte Carlo Simulations used in Quantitative Finance. Must have experience analyzing the accuracy and completeness of models uses in financial risk management. Must have programming experience in at least one of Python, Java, C++. Must have demonstrated knowledge of financial products and markets. Must have experience analyzing key risk drivers of products at individual and firm-wide levels. Employer will accept any amount of professional experience with the required skills.